I would definitely call psychiatrist and see if you can extend the wean. Also ask about potential side effects of the wean, specifically addressing the headaches.
Boo is currently weaning off Tegretol (similar medication to Depakote). We're doing an exceptionally slow wean because ... well, because I'm a nervous Nellie and neuro understands my super high anxiety, LOL. He's gone from 400 mg twice a day to 200 in the morning, 400 at night, for 6 weeks. Then we'll do 200 twice a day for 6 weeks, then 200 once a day, etc. Our neuro warned about headaches, moodiness, increased pain, and sleep disturbances as we do the wean, just for example. I don't know for sure but I would think similar side effects would be possible with a Depakote wean? Again, I would definitely ask your doctor and since he's already having headaches, see if you can slow things down.